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network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 3 months |
| seen | May 15 at 20:31 | |
| stats | profile views | 54 |
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May 22 |
comment |
Has high frequency trading (HFT) been a net benefit or cost to society? but the volume you can trade at bid and ask is lower than in pre-HFT times |
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May 22 |
awarded | Commentator |
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May 22 |
comment |
What is a commonly accepted econometric model for volume? @Dirk Eddelbuettel but AR(1)-GARCH(1,1) does |
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May 22 |
revised |
What is a commonly accepted econometric model for volume? added 6 characters in body |
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May 22 |
asked | What is a commonly accepted econometric model for volume? |
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May 21 |
revised |
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours? added 1833 characters in body |
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May 21 |
revised |
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours? added 1833 characters in body |
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May 21 |
comment |
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours? Ok, I'm going to add more details in next two days (from the statistical and econometric side). |
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May 21 |
asked | How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours? |
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Apr 26 |
awarded | Teacher |
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Apr 26 |
comment |
Does the correlation amongst stocks rise when stock values decline? I believe I've read that unconditional correlation increases also. |
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Apr 26 |
revised |
How do I graphically represent the evolution of a covariance matrix over time? added 55 characters in body |
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Apr 26 |
answered | How do I graphically represent the evolution of a covariance matrix over time? |
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Apr 26 |
comment |
How do I graphically represent the evolution of a covariance matrix over time? This appoach could be use if we first make cluster analysis, and then make minimum spanning tree for cluster centres. Beyond that change in spanning tree structure could be view as evidence of some "topological" changes in market structure. |
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Apr 26 |
comment |
Why do high frequency traders use rapidly cancelled limit orders? +1 how lagging by targeted quote-stuffing create arb to opportunities ? and where could I read about "mapping the topology of the exchange servers" by quote-staffing ? this is very interesting |
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Apr 26 |
comment |
Why in general is the variance of volume changes higher than variance of price changes? @babelproofreader that is good question |
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Apr 26 |
comment |
Why in general is the variance of volume changes higher than variance of price changes? Could you write more about it, are there any research about shape of function f(x) that : (delta_Price)^2=f(delta_Volume) ? local depth of the market have to be accounted somehow |
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Apr 26 |
awarded | Supporter |
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Apr 26 |
revised |
Why in general is the variance of volume changes higher than variance of price changes? added 134 characters in body |
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Apr 25 |
awarded | Student |
